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                                &#160;<span id="projectnumber">2.0.0</span>
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<div class="title">limit_tree.hpp</div>  </div>
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<div class="fragment"><div class="line"><a name="l00001"></a><span class="lineno">    1</span>&#160;<span class="comment">// A single side (buy/sell) of the LimitOrderBook.</span></div>
<div class="line"><a name="l00002"></a><span class="lineno">    2</span>&#160;<span class="comment">//</span></div>
<div class="line"><a name="l00003"></a><span class="lineno">    3</span>&#160;<span class="comment">// Copyright (c) 2020 Christian Kauten</span></div>
<div class="line"><a name="l00004"></a><span class="lineno">    4</span>&#160;<span class="comment">//</span></div>
<div class="line"><a name="l00005"></a><span class="lineno">    5</span>&#160;<span class="comment">// Permission is hereby granted, free of charge, to any person obtaining a copy</span></div>
<div class="line"><a name="l00006"></a><span class="lineno">    6</span>&#160;<span class="comment">// of this software and associated documentation files (the &quot;Software&quot;), to deal</span></div>
<div class="line"><a name="l00007"></a><span class="lineno">    7</span>&#160;<span class="comment">// in the Software without restriction, including without limitation the rights</span></div>
<div class="line"><a name="l00008"></a><span class="lineno">    8</span>&#160;<span class="comment">// to use, copy, modify, merge, publish, distribute, sublicense, and/or sell</span></div>
<div class="line"><a name="l00009"></a><span class="lineno">    9</span>&#160;<span class="comment">// copies of the Software, and to permit persons to whom the Software is</span></div>
<div class="line"><a name="l00010"></a><span class="lineno">   10</span>&#160;<span class="comment">// furnished to do so, subject to the following conditions:</span></div>
<div class="line"><a name="l00011"></a><span class="lineno">   11</span>&#160;<span class="comment">//</span></div>
<div class="line"><a name="l00012"></a><span class="lineno">   12</span>&#160;<span class="comment">// The above copyright notice and this permission notice shall be included in all</span></div>
<div class="line"><a name="l00013"></a><span class="lineno">   13</span>&#160;<span class="comment">// copies or substantial portions of the Software.</span></div>
<div class="line"><a name="l00014"></a><span class="lineno">   14</span>&#160;<span class="comment">//</span></div>
<div class="line"><a name="l00015"></a><span class="lineno">   15</span>&#160;<span class="comment">// THE SOFTWARE IS PROVIDED &quot;AS IS&quot;, WITHOUT WARRANTY OF ANY KIND, EXPRESS OR</span></div>
<div class="line"><a name="l00016"></a><span class="lineno">   16</span>&#160;<span class="comment">// IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,</span></div>
<div class="line"><a name="l00017"></a><span class="lineno">   17</span>&#160;<span class="comment">// FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE</span></div>
<div class="line"><a name="l00018"></a><span class="lineno">   18</span>&#160;<span class="comment">// AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER</span></div>
<div class="line"><a name="l00019"></a><span class="lineno">   19</span>&#160;<span class="comment">// LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,</span></div>
<div class="line"><a name="l00020"></a><span class="lineno">   20</span>&#160;<span class="comment">// OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE</span></div>
<div class="line"><a name="l00021"></a><span class="lineno">   21</span>&#160;<span class="comment">// SOFTWARE.</span></div>
<div class="line"><a name="l00022"></a><span class="lineno">   22</span>&#160;<span class="comment">//</span></div>
<div class="line"><a name="l00023"></a><span class="lineno">   23</span>&#160; </div>
<div class="line"><a name="l00024"></a><span class="lineno">   24</span>&#160;<span class="preprocessor">#ifndef LOB_LIMIT_TREE_HPP_</span></div>
<div class="line"><a name="l00025"></a><span class="lineno">   25</span>&#160;<span class="preprocessor">#define LOB_LIMIT_TREE_HPP_</span></div>
<div class="line"><a name="l00026"></a><span class="lineno">   26</span>&#160; </div>
<div class="line"><a name="l00027"></a><span class="lineno">   27</span>&#160;<span class="preprocessor">#include &quot;structures.hpp&quot;</span></div>
<div class="line"><a name="l00028"></a><span class="lineno">   28</span>&#160;<span class="preprocessor">#include &quot;tsl/robin_map.h&quot;</span></div>
<div class="line"><a name="l00029"></a><span class="lineno">   29</span>&#160; </div>
<div class="line"><a name="l00031"></a><span class="lineno">   31</span>&#160;<span class="keyword">namespace </span><a class="code" href="namespace_l_o_b.html">LOB</a> {</div>
<div class="line"><a name="l00032"></a><span class="lineno">   32</span>&#160; </div>
<div class="line"><a name="l00034"></a><span class="lineno"><a class="line" href="namespace_l_o_b.html#a9f7f6214768b2e1c81ab886241d2075a">   34</a></span>&#160;<span class="keyword">typedef</span> tsl::robin_map&lt;Price, Limit*&gt; <a class="code" href="namespace_l_o_b.html#a9f7f6214768b2e1c81ab886241d2075a">PriceLimitMap</a>;</div>
<div class="line"><a name="l00035"></a><span class="lineno">   35</span>&#160; </div>
<div class="line"><a name="l00036"></a><span class="lineno">   36</span>&#160;<span class="comment">// ---------------------------------------------------------------------------</span></div>
<div class="line"><a name="l00037"></a><span class="lineno">   37</span>&#160;<span class="comment">// MARK: set_best</span></div>
<div class="line"><a name="l00038"></a><span class="lineno">   38</span>&#160;<span class="comment">// ---------------------------------------------------------------------------</span></div>
<div class="line"><a name="l00039"></a><span class="lineno">   39</span>&#160; </div>
<div class="line"><a name="l00046"></a><span class="lineno">   46</span>&#160;<span class="keyword">template</span>&lt;S<span class="keywordtype">id</span>e s<span class="keywordtype">id</span>e&gt;</div>
<div class="line"><a name="l00047"></a><span class="lineno"><a class="line" href="namespace_l_o_b.html#a9c1b41f8d06147416dcb43138b2905ae">   47</a></span>&#160;<span class="keywordtype">void</span> <a class="code" href="namespace_l_o_b.html#a9c1b41f8d06147416dcb43138b2905ae">set_best</a>(<a class="code" href="struct_l_o_b_1_1_limit.html">Limit</a>** best, <a class="code" href="struct_l_o_b_1_1_limit.html">Limit</a>* limit);</div>
<div class="line"><a name="l00048"></a><span class="lineno">   48</span>&#160; </div>
<div class="line"><a name="l00054"></a><span class="lineno">   54</span>&#160;<span class="keyword">template</span>&lt;&gt;</div>
<div class="line"><a name="l00055"></a><span class="lineno"><a class="line" href="namespace_l_o_b.html#a916e380f27d0fd0e1e5f7e9789de786d">   55</a></span>&#160;<span class="keyword">inline</span> <span class="keywordtype">void</span> set_best&lt;Side::Buy&gt;(<a class="code" href="struct_l_o_b_1_1_limit.html">Limit</a>** highest_buy, <a class="code" href="struct_l_o_b_1_1_limit.html">Limit</a>* limit) {</div>
<div class="line"><a name="l00056"></a><span class="lineno">   56</span>&#160;    <span class="keywordflow">if</span> (*highest_buy == <span class="keyword">nullptr</span>) *highest_buy = limit;</div>
<div class="line"><a name="l00057"></a><span class="lineno">   57</span>&#160;    <span class="keywordflow">else</span> <span class="keywordflow">if</span> (limit-&gt;key &gt; (*highest_buy)-&gt;key) *highest_buy = limit;</div>
<div class="line"><a name="l00058"></a><span class="lineno">   58</span>&#160;}</div>
<div class="line"><a name="l00059"></a><span class="lineno">   59</span>&#160; </div>
<div class="line"><a name="l00065"></a><span class="lineno">   65</span>&#160;<span class="keyword">template</span>&lt;&gt;</div>
<div class="line"><a name="l00066"></a><span class="lineno"><a class="line" href="namespace_l_o_b.html#a783b0fcf2c6e50dcb08169b0655cad03">   66</a></span>&#160;<span class="keyword">inline</span> <span class="keywordtype">void</span> set_best&lt;Side::Sell&gt;(<a class="code" href="struct_l_o_b_1_1_limit.html">Limit</a>** lowest_sell, <a class="code" href="struct_l_o_b_1_1_limit.html">Limit</a>* limit) {</div>
<div class="line"><a name="l00067"></a><span class="lineno">   67</span>&#160;    <span class="keywordflow">if</span> (*lowest_sell == <span class="keyword">nullptr</span>) *lowest_sell = limit;</div>
<div class="line"><a name="l00068"></a><span class="lineno">   68</span>&#160;    <span class="keywordflow">else</span> <span class="keywordflow">if</span> (limit-&gt;key &lt; (*lowest_sell)-&gt;key) *lowest_sell = limit;</div>
<div class="line"><a name="l00069"></a><span class="lineno">   69</span>&#160;}</div>
<div class="line"><a name="l00070"></a><span class="lineno">   70</span>&#160; </div>
<div class="line"><a name="l00071"></a><span class="lineno">   71</span>&#160;<span class="comment">// ---------------------------------------------------------------------------</span></div>
<div class="line"><a name="l00072"></a><span class="lineno">   72</span>&#160;<span class="comment">// MARK: find_best</span></div>
<div class="line"><a name="l00073"></a><span class="lineno">   73</span>&#160;<span class="comment">// ---------------------------------------------------------------------------</span></div>
<div class="line"><a name="l00074"></a><span class="lineno">   74</span>&#160; </div>
<div class="line"><a name="l00080"></a><span class="lineno">   80</span>&#160;<span class="keyword">template</span>&lt;S<span class="keywordtype">id</span>e s<span class="keywordtype">id</span>e&gt;</div>
<div class="line"><a name="l00081"></a><span class="lineno"><a class="line" href="namespace_l_o_b.html#aa79f2b39db1864ddad9806d8112dcdcf">   81</a></span>&#160;<span class="keywordtype">void</span> <a class="code" href="namespace_l_o_b.html#aa79f2b39db1864ddad9806d8112dcdcf">find_best</a>(<a class="code" href="struct_l_o_b_1_1_limit.html">Limit</a>** best);</div>
<div class="line"><a name="l00082"></a><span class="lineno">   82</span>&#160; </div>
<div class="line"><a name="l00087"></a><span class="lineno">   87</span>&#160;<span class="keyword">template</span>&lt;&gt;</div>
<div class="line"><a name="l00088"></a><span class="lineno"><a class="line" href="namespace_l_o_b.html#ad4b24965d7b5b7a42480dd5e2892ba2d">   88</a></span>&#160;<span class="keyword">inline</span> <span class="keywordtype">void</span> find_best&lt;Side::Buy&gt;(<a class="code" href="struct_l_o_b_1_1_limit.html">Limit</a>** highest_buy) {</div>
<div class="line"><a name="l00089"></a><span class="lineno">   89</span>&#160;    <span class="keywordflow">if</span> ((*highest_buy)-&gt;parent == <span class="keyword">nullptr</span>)  <span class="comment">// removing root node</span></div>
<div class="line"><a name="l00090"></a><span class="lineno">   90</span>&#160;        <span class="comment">// set left because if right existed it would be a better limit already</span></div>
<div class="line"><a name="l00091"></a><span class="lineno">   91</span>&#160;        *highest_buy = <span class="keyword">static_cast&lt;</span><a class="code" href="struct_l_o_b_1_1_limit.html">Limit</a>*<span class="keyword">&gt;</span>((*highest_buy)-&gt;left);</div>
<div class="line"><a name="l00092"></a><span class="lineno">   92</span>&#160;    <span class="keywordflow">else</span>  <span class="comment">// removing non-root node</span></div>
<div class="line"><a name="l00093"></a><span class="lineno">   93</span>&#160;        *highest_buy = <span class="keyword">static_cast&lt;</span><a class="code" href="struct_l_o_b_1_1_limit.html">Limit</a>*<span class="keyword">&gt;</span>((*highest_buy)-&gt;parent);</div>
<div class="line"><a name="l00094"></a><span class="lineno">   94</span>&#160;    <span class="keywordflow">if</span> (*highest_buy != <span class="keyword">nullptr</span>)  <span class="comment">// highest buy exists</span></div>
<div class="line"><a name="l00095"></a><span class="lineno">   95</span>&#160;        *highest_buy = <span class="keyword">static_cast&lt;</span><a class="code" href="struct_l_o_b_1_1_limit.html">Limit</a>*<span class="keyword">&gt;</span>(BST::max(*highest_buy));</div>
<div class="line"><a name="l00096"></a><span class="lineno">   96</span>&#160;}</div>
<div class="line"><a name="l00097"></a><span class="lineno">   97</span>&#160; </div>
<div class="line"><a name="l00102"></a><span class="lineno">  102</span>&#160;<span class="keyword">template</span>&lt;&gt;</div>
<div class="line"><a name="l00103"></a><span class="lineno"><a class="line" href="namespace_l_o_b.html#a56acc9c82361400b0e22edde3ff80899">  103</a></span>&#160;<span class="keyword">inline</span> <span class="keywordtype">void</span> find_best&lt;Side::Sell&gt;(<a class="code" href="struct_l_o_b_1_1_limit.html">Limit</a>** lowest_sell) {</div>
<div class="line"><a name="l00104"></a><span class="lineno">  104</span>&#160;    <span class="keywordflow">if</span> ((*lowest_sell)-&gt;parent == <span class="keyword">nullptr</span>)  <span class="comment">// removing root node</span></div>
<div class="line"><a name="l00105"></a><span class="lineno">  105</span>&#160;        <span class="comment">// set right because if left existed it would be a better limit already</span></div>
<div class="line"><a name="l00106"></a><span class="lineno">  106</span>&#160;        *lowest_sell = <span class="keyword">static_cast&lt;</span><a class="code" href="struct_l_o_b_1_1_limit.html">Limit</a>*<span class="keyword">&gt;</span>((*lowest_sell)-&gt;right);</div>
<div class="line"><a name="l00107"></a><span class="lineno">  107</span>&#160;    <span class="keywordflow">else</span>  <span class="comment">// removing non-root node</span></div>
<div class="line"><a name="l00108"></a><span class="lineno">  108</span>&#160;        *lowest_sell = <span class="keyword">static_cast&lt;</span><a class="code" href="struct_l_o_b_1_1_limit.html">Limit</a>*<span class="keyword">&gt;</span>((*lowest_sell)-&gt;parent);</div>
<div class="line"><a name="l00109"></a><span class="lineno">  109</span>&#160;    <span class="keywordflow">if</span> (*lowest_sell != <span class="keyword">nullptr</span>)  <span class="comment">// lowest sell exists</span></div>
<div class="line"><a name="l00110"></a><span class="lineno">  110</span>&#160;        *lowest_sell = <span class="keyword">static_cast&lt;</span><a class="code" href="struct_l_o_b_1_1_limit.html">Limit</a>*<span class="keyword">&gt;</span>(BST::min(*lowest_sell));</div>
<div class="line"><a name="l00111"></a><span class="lineno">  111</span>&#160;}</div>
<div class="line"><a name="l00112"></a><span class="lineno">  112</span>&#160; </div>
<div class="line"><a name="l00113"></a><span class="lineno">  113</span>&#160;<span class="comment">// ---------------------------------------------------------------------------</span></div>
<div class="line"><a name="l00114"></a><span class="lineno">  114</span>&#160;<span class="comment">// MARK: can_match</span></div>
<div class="line"><a name="l00115"></a><span class="lineno">  115</span>&#160;<span class="comment">// ---------------------------------------------------------------------------</span></div>
<div class="line"><a name="l00116"></a><span class="lineno">  116</span>&#160; </div>
<div class="line"><a name="l00124"></a><span class="lineno">  124</span>&#160;<span class="keyword">template</span>&lt;S<span class="keywordtype">id</span>e s<span class="keywordtype">id</span>e&gt;</div>
<div class="line"><a name="l00125"></a><span class="lineno"><a class="line" href="namespace_l_o_b.html#a5f3af030ab539f0b9e5c5454fda8f8cc">  125</a></span>&#160;<span class="keywordtype">bool</span> <a class="code" href="namespace_l_o_b.html#a5f3af030ab539f0b9e5c5454fda8f8cc">can_match</a>(<a class="code" href="namespace_l_o_b.html#a0170482547b909e8a53b5ae42d18e23a">Price</a> limit, <a class="code" href="namespace_l_o_b.html#a0170482547b909e8a53b5ae42d18e23a">Price</a> market);</div>
<div class="line"><a name="l00126"></a><span class="lineno">  126</span>&#160; </div>
<div class="line"><a name="l00133"></a><span class="lineno">  133</span>&#160;<span class="keyword">template</span>&lt;&gt;</div>
<div class="line"><a name="l00134"></a><span class="lineno"><a class="line" href="namespace_l_o_b.html#a66cd5b887ab210ff2936b3f14ce3793a">  134</a></span>&#160;<span class="keyword">inline</span> <span class="keywordtype">bool</span> can_match&lt;Side::Buy&gt;(<a class="code" href="namespace_l_o_b.html#a0170482547b909e8a53b5ae42d18e23a">Price</a> limit, <a class="code" href="namespace_l_o_b.html#a0170482547b909e8a53b5ae42d18e23a">Price</a> market) {</div>
<div class="line"><a name="l00135"></a><span class="lineno">  135</span>&#160;    <span class="comment">// short circuit on price &gt; 0: 0 is sentinel for no limit</span></div>
<div class="line"><a name="l00136"></a><span class="lineno">  136</span>&#160;    <span class="comment">// the price should be less than or equal to the best on the buy side.</span></div>
<div class="line"><a name="l00137"></a><span class="lineno">  137</span>&#160;    <span class="comment">// i.e., the submitted order is a sell limit with a lower price</span></div>
<div class="line"><a name="l00138"></a><span class="lineno">  138</span>&#160;    <span class="keywordflow">return</span> market == 0 || market &lt;= limit;</div>
<div class="line"><a name="l00139"></a><span class="lineno">  139</span>&#160;}</div>
<div class="line"><a name="l00140"></a><span class="lineno">  140</span>&#160; </div>
<div class="line"><a name="l00147"></a><span class="lineno">  147</span>&#160;<span class="keyword">template</span>&lt;&gt;</div>
<div class="line"><a name="l00148"></a><span class="lineno"><a class="line" href="namespace_l_o_b.html#a0ca0dfda7fb5c65ae8b5c238f7146d97">  148</a></span>&#160;<span class="keyword">inline</span> <span class="keywordtype">bool</span> can_match&lt;Side::Sell&gt;(<a class="code" href="namespace_l_o_b.html#a0170482547b909e8a53b5ae42d18e23a">Price</a> limit, <a class="code" href="namespace_l_o_b.html#a0170482547b909e8a53b5ae42d18e23a">Price</a> market) {</div>
<div class="line"><a name="l00149"></a><span class="lineno">  149</span>&#160;    <span class="comment">// short circuit on price &gt; 0: 0 is sentinel for no limit</span></div>
<div class="line"><a name="l00150"></a><span class="lineno">  150</span>&#160;    <span class="comment">// the price should be greater than or equal to the best on the sell side.</span></div>
<div class="line"><a name="l00151"></a><span class="lineno">  151</span>&#160;    <span class="comment">// i.e., the submitted order is a buy limit with a higher price</span></div>
<div class="line"><a name="l00152"></a><span class="lineno">  152</span>&#160;    <span class="keywordflow">return</span> market == 0 || market &gt;= limit;</div>
<div class="line"><a name="l00153"></a><span class="lineno">  153</span>&#160;}</div>
<div class="line"><a name="l00154"></a><span class="lineno">  154</span>&#160; </div>
<div class="line"><a name="l00156"></a><span class="lineno">  156</span>&#160;<span class="keyword">template</span>&lt;S<span class="keywordtype">id</span>e s<span class="keywordtype">id</span>e&gt;</div>
<div class="line"><a name="l00157"></a><span class="lineno"><a class="line" href="struct_l_o_b_1_1_limit_tree.html">  157</a></span>&#160;<span class="keyword">struct </span><a class="code" href="struct_l_o_b_1_1_limit_tree.html">LimitTree</a> {</div>
<div class="line"><a name="l00159"></a><span class="lineno"><a class="line" href="struct_l_o_b_1_1_limit_tree.html#a87882ea3591e325656ed24a9ebb638e2">  159</a></span>&#160;    <a class="code" href="struct_l_o_b_1_1_limit.html">Limit</a>* <a class="code" href="struct_l_o_b_1_1_limit_tree.html#a87882ea3591e325656ed24a9ebb638e2">root</a> = <span class="keyword">nullptr</span>;</div>
<div class="line"><a name="l00161"></a><span class="lineno"><a class="line" href="struct_l_o_b_1_1_limit_tree.html#a1dbe709a7aba8fab467db625c0d2d3e7">  161</a></span>&#160;    <a class="code" href="namespace_l_o_b.html#a9f7f6214768b2e1c81ab886241d2075a">PriceLimitMap</a> <a class="code" href="struct_l_o_b_1_1_limit_tree.html#a1dbe709a7aba8fab467db625c0d2d3e7">limits</a>;</div>
<div class="line"><a name="l00163"></a><span class="lineno"><a class="line" href="struct_l_o_b_1_1_limit_tree.html#a2295552bf2ed740a479ce87eb25594e0">  163</a></span>&#160;    <a class="code" href="struct_l_o_b_1_1_limit.html">Limit</a>* <a class="code" href="struct_l_o_b_1_1_limit_tree.html#a2295552bf2ed740a479ce87eb25594e0">best</a> = <span class="keyword">nullptr</span>;</div>
<div class="line"><a name="l00165"></a><span class="lineno"><a class="line" href="struct_l_o_b_1_1_limit_tree.html#a941d1cf3065746647e08bb972f65121b">  165</a></span>&#160;    <a class="code" href="namespace_l_o_b.html#a0170482547b909e8a53b5ae42d18e23a">Price</a> <a class="code" href="struct_l_o_b_1_1_limit_tree.html#a941d1cf3065746647e08bb972f65121b">last_best_price</a> = 0;</div>
<div class="line"><a name="l00167"></a><span class="lineno"><a class="line" href="struct_l_o_b_1_1_limit_tree.html#ac6f9f6989f2d73a1917c1488252cfaf5">  167</a></span>&#160;    <a class="code" href="namespace_l_o_b.html#a98c8cdadc7da7cd760e1a6dede850854">Count</a> <a class="code" href="struct_l_o_b_1_1_limit_tree.html#ac6f9f6989f2d73a1917c1488252cfaf5">count</a> = 0;</div>
<div class="line"><a name="l00169"></a><span class="lineno"><a class="line" href="struct_l_o_b_1_1_limit_tree.html#a64a5025b0f65c36c1a6f2d4056543ea7">  169</a></span>&#160;    <a class="code" href="namespace_l_o_b.html#a0860e916768a8e3baaadf73c1a6f9c58">Volume</a> <a class="code" href="struct_l_o_b_1_1_limit_tree.html#a64a5025b0f65c36c1a6f2d4056543ea7">volume</a> = 0;</div>
<div class="line"><a name="l00170"></a><span class="lineno">  170</span>&#160; </div>
<div class="line"><a name="l00172"></a><span class="lineno"><a class="line" href="struct_l_o_b_1_1_limit_tree.html#af889225100ab93c596081ceec4ffb474">  172</a></span>&#160;    <span class="keywordtype">void</span> <a class="code" href="struct_l_o_b_1_1_limit_tree.html#af889225100ab93c596081ceec4ffb474">clear</a>() {</div>
<div class="line"><a name="l00173"></a><span class="lineno">  173</span>&#160;        <span class="comment">// delete all the limits</span></div>
<div class="line"><a name="l00174"></a><span class="lineno">  174</span>&#160;        <span class="keywordflow">for</span>(<span class="keyword">auto</span> item = <a class="code" href="struct_l_o_b_1_1_limit_tree.html#a1dbe709a7aba8fab467db625c0d2d3e7">limits</a>.begin(); item != <a class="code" href="struct_l_o_b_1_1_limit_tree.html#a1dbe709a7aba8fab467db625c0d2d3e7">limits</a>.end(); item++)</div>
<div class="line"><a name="l00175"></a><span class="lineno">  175</span>&#160;            <span class="keyword">delete</span> item-&gt;second;</div>
<div class="line"><a name="l00176"></a><span class="lineno">  176</span>&#160;        <span class="comment">// clear the pairs from the map</span></div>
<div class="line"><a name="l00177"></a><span class="lineno">  177</span>&#160;        <a class="code" href="struct_l_o_b_1_1_limit_tree.html#a1dbe709a7aba8fab467db625c0d2d3e7">limits</a>.clear();</div>
<div class="line"><a name="l00178"></a><span class="lineno">  178</span>&#160;        <span class="comment">// set remaining tracers to 0</span></div>
<div class="line"><a name="l00179"></a><span class="lineno">  179</span>&#160;        <a class="code" href="struct_l_o_b_1_1_limit_tree.html#a87882ea3591e325656ed24a9ebb638e2">root</a> = <span class="keyword">nullptr</span>;</div>
<div class="line"><a name="l00180"></a><span class="lineno">  180</span>&#160;        <a class="code" href="struct_l_o_b_1_1_limit_tree.html#a2295552bf2ed740a479ce87eb25594e0">best</a> = <span class="keyword">nullptr</span>;</div>
<div class="line"><a name="l00181"></a><span class="lineno">  181</span>&#160;        <a class="code" href="struct_l_o_b_1_1_limit_tree.html#ac6f9f6989f2d73a1917c1488252cfaf5">count</a> = 0;</div>
<div class="line"><a name="l00182"></a><span class="lineno">  182</span>&#160;        <a class="code" href="struct_l_o_b_1_1_limit_tree.html#a64a5025b0f65c36c1a6f2d4056543ea7">volume</a> = 0;</div>
<div class="line"><a name="l00183"></a><span class="lineno">  183</span>&#160;    }</div>
<div class="line"><a name="l00184"></a><span class="lineno">  184</span>&#160; </div>
<div class="line"><a name="l00189"></a><span class="lineno"><a class="line" href="struct_l_o_b_1_1_limit_tree.html#ac4a8791f4b50ed29152d42940c3be06d">  189</a></span>&#160;    <span class="keywordtype">void</span> <a class="code" href="struct_l_o_b_1_1_limit_tree.html#ac4a8791f4b50ed29152d42940c3be06d">limit</a>(<a class="code" href="struct_l_o_b_1_1_order.html">Order</a>* order) {</div>
<div class="line"><a name="l00190"></a><span class="lineno">  190</span>&#160;        <span class="keywordflow">if</span> (<a class="code" href="struct_l_o_b_1_1_limit_tree.html#a1dbe709a7aba8fab467db625c0d2d3e7">limits</a>.count(order-&gt;<a class="code" href="struct_l_o_b_1_1_order.html#a8e5f781012f13a6116c60bb9e8d3fa5f">price</a>) == 0) {  <span class="comment">// first order at limit price</span></div>
<div class="line"><a name="l00191"></a><span class="lineno">  191</span>&#160;            <span class="comment">// create the limit and set the order&#39;s limit to the limit</span></div>
<div class="line"><a name="l00192"></a><span class="lineno">  192</span>&#160;            order-&gt;<a class="code" href="struct_l_o_b_1_1_order.html#ac4eb93ab36045cd0927ee4d4ea51c1a5">limit</a> = <span class="keyword">new</span> <a class="code" href="struct_l_o_b_1_1_limit.html">Limit</a>(order);</div>
<div class="line"><a name="l00193"></a><span class="lineno">  193</span>&#160;            <span class="comment">// the limit price is new, add it to the limit tree</span></div>
<div class="line"><a name="l00194"></a><span class="lineno">  194</span>&#160;            BST::insert(</div>
<div class="line"><a name="l00195"></a><span class="lineno">  195</span>&#160;                <span class="keyword">reinterpret_cast&lt;</span>BST::Node&lt;Price&gt;**<span class="keyword">&gt;</span>(&amp;<a class="code" href="struct_l_o_b_1_1_limit_tree.html#a87882ea3591e325656ed24a9ebb638e2">root</a>),</div>
<div class="line"><a name="l00196"></a><span class="lineno">  196</span>&#160;                <span class="keyword">static_cast&lt;</span>BST::Node&lt;Price&gt;*<span class="keyword">&gt;</span>(order-&gt;<a class="code" href="struct_l_o_b_1_1_order.html#ac4eb93ab36045cd0927ee4d4ea51c1a5">limit</a>)</div>
<div class="line"><a name="l00197"></a><span class="lineno">  197</span>&#160;            );</div>
<div class="line"><a name="l00198"></a><span class="lineno">  198</span>&#160;            <span class="comment">// set the best price</span></div>
<div class="line"><a name="l00199"></a><span class="lineno">  199</span>&#160;            set_best&lt;side&gt;(&amp;<a class="code" href="struct_l_o_b_1_1_limit_tree.html#a2295552bf2ed740a479ce87eb25594e0">best</a>, order-&gt;<a class="code" href="struct_l_o_b_1_1_order.html#ac4eb93ab36045cd0927ee4d4ea51c1a5">limit</a>);</div>
<div class="line"><a name="l00200"></a><span class="lineno">  200</span>&#160;            <span class="comment">// put the limit into the price to limit mapping</span></div>
<div class="line"><a name="l00201"></a><span class="lineno">  201</span>&#160;            <a class="code" href="struct_l_o_b_1_1_limit_tree.html#a1dbe709a7aba8fab467db625c0d2d3e7">limits</a>.emplace(order-&gt;<a class="code" href="struct_l_o_b_1_1_order.html#ac4eb93ab36045cd0927ee4d4ea51c1a5">limit</a>-&gt;key, order-&gt;<a class="code" href="struct_l_o_b_1_1_order.html#ac4eb93ab36045cd0927ee4d4ea51c1a5">limit</a>);</div>
<div class="line"><a name="l00202"></a><span class="lineno">  202</span>&#160;        } <span class="keywordflow">else</span> {  <span class="comment">// push to existing queue of orders at limit price</span></div>
<div class="line"><a name="l00203"></a><span class="lineno">  203</span>&#160;            <span class="comment">// set the order&#39;s limit to the limit node for the order&#39;s price</span></div>
<div class="line"><a name="l00204"></a><span class="lineno">  204</span>&#160;            order-&gt;<a class="code" href="struct_l_o_b_1_1_order.html#ac4eb93ab36045cd0927ee4d4ea51c1a5">limit</a> = <a class="code" href="struct_l_o_b_1_1_limit_tree.html#a1dbe709a7aba8fab467db625c0d2d3e7">limits</a>.at(order-&gt;<a class="code" href="struct_l_o_b_1_1_order.html#a8e5f781012f13a6116c60bb9e8d3fa5f">price</a>);</div>
<div class="line"><a name="l00205"></a><span class="lineno">  205</span>&#160;            <span class="comment">// increment the count of the orders at this limit node</span></div>
<div class="line"><a name="l00206"></a><span class="lineno">  206</span>&#160;            ++order-&gt;<a class="code" href="struct_l_o_b_1_1_order.html#ac4eb93ab36045cd0927ee4d4ea51c1a5">limit</a>-&gt;<a class="code" href="struct_l_o_b_1_1_limit.html#a5143704d888d4a1029b217eca6f94d18">count</a>;</div>
<div class="line"><a name="l00207"></a><span class="lineno">  207</span>&#160;            <span class="comment">// increment the volume of the orders at this limit node</span></div>
<div class="line"><a name="l00208"></a><span class="lineno">  208</span>&#160;            order-&gt;<a class="code" href="struct_l_o_b_1_1_order.html#ac4eb93ab36045cd0927ee4d4ea51c1a5">limit</a>-&gt;<a class="code" href="struct_l_o_b_1_1_limit.html#a73fcec9f433efd6a506f1c08bf52a233">volume</a> += order-&gt;<a class="code" href="struct_l_o_b_1_1_order.html#a306f045463a61d710f29d59824b4fa9d">quantity</a>;</div>
<div class="line"><a name="l00209"></a><span class="lineno">  209</span>&#160;            <span class="comment">// add the order to the queue of orders for the limit node</span></div>
<div class="line"><a name="l00210"></a><span class="lineno">  210</span>&#160;            DLL::append(</div>
<div class="line"><a name="l00211"></a><span class="lineno">  211</span>&#160;                <span class="keyword">reinterpret_cast&lt;</span>DLL::Node**<span class="keyword">&gt;</span>(&amp;order-&gt;<a class="code" href="struct_l_o_b_1_1_order.html#ac4eb93ab36045cd0927ee4d4ea51c1a5">limit</a>-&gt;<a class="code" href="struct_l_o_b_1_1_limit.html#ab2708f69d5bdb44d7d4b2296b02055e1">order_tail</a>),</div>
<div class="line"><a name="l00212"></a><span class="lineno">  212</span>&#160;                <span class="keyword">static_cast&lt;</span>DLL::Node*<span class="keyword">&gt;</span>(order)</div>
<div class="line"><a name="l00213"></a><span class="lineno">  213</span>&#160;            );</div>
<div class="line"><a name="l00214"></a><span class="lineno">  214</span>&#160;        }</div>
<div class="line"><a name="l00215"></a><span class="lineno">  215</span>&#160;        <span class="comment">// update the count and volume for the entire tree</span></div>
<div class="line"><a name="l00216"></a><span class="lineno">  216</span>&#160;        ++<a class="code" href="struct_l_o_b_1_1_limit_tree.html#ac6f9f6989f2d73a1917c1488252cfaf5">count</a>;</div>
<div class="line"><a name="l00217"></a><span class="lineno">  217</span>&#160;        <a class="code" href="struct_l_o_b_1_1_limit_tree.html#a64a5025b0f65c36c1a6f2d4056543ea7">volume</a> += order-&gt;<a class="code" href="struct_l_o_b_1_1_order.html#a306f045463a61d710f29d59824b4fa9d">quantity</a>;</div>
<div class="line"><a name="l00218"></a><span class="lineno">  218</span>&#160;        <span class="comment">// set the last best price</span></div>
<div class="line"><a name="l00219"></a><span class="lineno">  219</span>&#160;        <span class="keywordflow">if</span> (<a class="code" href="struct_l_o_b_1_1_limit_tree.html#a2295552bf2ed740a479ce87eb25594e0">best</a> != <span class="keyword">nullptr</span>) <a class="code" href="struct_l_o_b_1_1_limit_tree.html#a941d1cf3065746647e08bb972f65121b">last_best_price</a> = <a class="code" href="struct_l_o_b_1_1_limit_tree.html#a2295552bf2ed740a479ce87eb25594e0">best</a>-&gt;key;</div>
<div class="line"><a name="l00220"></a><span class="lineno">  220</span>&#160;    }</div>
<div class="line"><a name="l00221"></a><span class="lineno">  221</span>&#160; </div>
<div class="line"><a name="l00222"></a><span class="lineno">  222</span>&#160;    <span class="comment">// TODO: use object pool for limit reuse?</span></div>
<div class="line"><a name="l00227"></a><span class="lineno"><a class="line" href="struct_l_o_b_1_1_limit_tree.html#a1098e1bb85b42a2e7ea550a8a3a7d56b">  227</a></span>&#160;<span class="comment"></span>    <span class="keywordtype">void</span> <a class="code" href="struct_l_o_b_1_1_limit_tree.html#a1098e1bb85b42a2e7ea550a8a3a7d56b">cancel</a>(<a class="code" href="struct_l_o_b_1_1_order.html">Order</a>* order) {</div>
<div class="line"><a name="l00228"></a><span class="lineno">  228</span>&#160;        <span class="comment">// unwrap the limit for the order</span></div>
<div class="line"><a name="l00229"></a><span class="lineno">  229</span>&#160;        <span class="keyword">auto</span> limit_ = order-&gt;<a class="code" href="struct_l_o_b_1_1_order.html#ac4eb93ab36045cd0927ee4d4ea51c1a5">limit</a>;</div>
<div class="line"><a name="l00230"></a><span class="lineno">  230</span>&#160;        <span class="keywordflow">if</span> (order-&gt;prev == <span class="keyword">nullptr</span> &amp;&amp; order-&gt;next == <span class="keyword">nullptr</span>) {  <span class="comment">// last Order</span></div>
<div class="line"><a name="l00231"></a><span class="lineno">  231</span>&#160;            <span class="comment">// remove the limit from the tree</span></div>
<div class="line"><a name="l00232"></a><span class="lineno">  232</span>&#160;            BST::remove(</div>
<div class="line"><a name="l00233"></a><span class="lineno">  233</span>&#160;                <span class="keyword">reinterpret_cast&lt;</span>BST::Node&lt;Price&gt;**<span class="keyword">&gt;</span>(&amp;<a class="code" href="struct_l_o_b_1_1_limit_tree.html#a87882ea3591e325656ed24a9ebb638e2">root</a>),</div>
<div class="line"><a name="l00234"></a><span class="lineno">  234</span>&#160;                <span class="keyword">static_cast&lt;</span>BST::Node&lt;Price&gt;*<span class="keyword">&gt;</span>(limit_)</div>
<div class="line"><a name="l00235"></a><span class="lineno">  235</span>&#160;            );</div>
<div class="line"><a name="l00236"></a><span class="lineno">  236</span>&#160;            <span class="comment">// replace the best limit if necessary</span></div>
<div class="line"><a name="l00237"></a><span class="lineno">  237</span>&#160;            <span class="keywordflow">if</span> (<a class="code" href="struct_l_o_b_1_1_limit_tree.html#a2295552bf2ed740a479ce87eb25594e0">best</a> == limit_)</div>
<div class="line"><a name="l00238"></a><span class="lineno">  238</span>&#160;                find_best&lt;side&gt;(&amp;<a class="code" href="struct_l_o_b_1_1_limit_tree.html#a2295552bf2ed740a479ce87eb25594e0">best</a>);</div>
<div class="line"><a name="l00239"></a><span class="lineno">  239</span>&#160;            <span class="comment">// remove the limit from the price map</span></div>
<div class="line"><a name="l00240"></a><span class="lineno">  240</span>&#160;            <a class="code" href="struct_l_o_b_1_1_limit_tree.html#a1dbe709a7aba8fab467db625c0d2d3e7">limits</a>.erase(limit_-&gt;key);</div>
<div class="line"><a name="l00241"></a><span class="lineno">  241</span>&#160;            <span class="keyword">delete</span> limit_;</div>
<div class="line"><a name="l00242"></a><span class="lineno">  242</span>&#160;        } <span class="keywordflow">else</span> {  <span class="comment">// at least 1 other Order in queue</span></div>
<div class="line"><a name="l00243"></a><span class="lineno">  243</span>&#160;            --limit_-&gt;count;</div>
<div class="line"><a name="l00244"></a><span class="lineno">  244</span>&#160;            limit_-&gt;volume -= order-&gt;<a class="code" href="struct_l_o_b_1_1_order.html#a306f045463a61d710f29d59824b4fa9d">quantity</a>;</div>
<div class="line"><a name="l00245"></a><span class="lineno">  245</span>&#160;            <span class="comment">// remove the order from the queue (update head and tail)</span></div>
<div class="line"><a name="l00246"></a><span class="lineno">  246</span>&#160;            DLL::remove(</div>
<div class="line"><a name="l00247"></a><span class="lineno">  247</span>&#160;                <span class="keyword">reinterpret_cast&lt;</span>DLL::Node**<span class="keyword">&gt;</span>(&amp;limit_-&gt;order_head),</div>
<div class="line"><a name="l00248"></a><span class="lineno">  248</span>&#160;                <span class="keyword">reinterpret_cast&lt;</span>DLL::Node**<span class="keyword">&gt;</span>(&amp;limit_-&gt;order_tail),</div>
<div class="line"><a name="l00249"></a><span class="lineno">  249</span>&#160;                <span class="keyword">static_cast&lt;</span>DLL::Node*<span class="keyword">&gt;</span>(order)</div>
<div class="line"><a name="l00250"></a><span class="lineno">  250</span>&#160;            );</div>
<div class="line"><a name="l00251"></a><span class="lineno">  251</span>&#160;        }</div>
<div class="line"><a name="l00252"></a><span class="lineno">  252</span>&#160;        <span class="comment">// update the count and volume for the entire tree</span></div>
<div class="line"><a name="l00253"></a><span class="lineno">  253</span>&#160;        --<a class="code" href="struct_l_o_b_1_1_limit_tree.html#ac6f9f6989f2d73a1917c1488252cfaf5">count</a>;</div>
<div class="line"><a name="l00254"></a><span class="lineno">  254</span>&#160;        <a class="code" href="struct_l_o_b_1_1_limit_tree.html#a64a5025b0f65c36c1a6f2d4056543ea7">volume</a> -= order-&gt;<a class="code" href="struct_l_o_b_1_1_order.html#a306f045463a61d710f29d59824b4fa9d">quantity</a>;</div>
<div class="line"><a name="l00255"></a><span class="lineno">  255</span>&#160;        <span class="comment">// set the last best price</span></div>
<div class="line"><a name="l00256"></a><span class="lineno">  256</span>&#160;        <span class="keywordflow">if</span> (<a class="code" href="struct_l_o_b_1_1_limit_tree.html#a2295552bf2ed740a479ce87eb25594e0">best</a> != <span class="keyword">nullptr</span>) <a class="code" href="struct_l_o_b_1_1_limit_tree.html#a941d1cf3065746647e08bb972f65121b">last_best_price</a> = <a class="code" href="struct_l_o_b_1_1_limit_tree.html#a2295552bf2ed740a479ce87eb25594e0">best</a>-&gt;key;</div>
<div class="line"><a name="l00257"></a><span class="lineno">  257</span>&#160;    }</div>
<div class="line"><a name="l00258"></a><span class="lineno">  258</span>&#160; </div>
<div class="line"><a name="l00265"></a><span class="lineno">  265</span>&#160;    <span class="keyword">template</span>&lt;<span class="keyword">typename</span> Callback&gt;</div>
<div class="line"><a name="l00266"></a><span class="lineno"><a class="line" href="struct_l_o_b_1_1_limit_tree.html#a8dd611700d87618f14fdada0113272a5">  266</a></span>&#160;    <span class="keywordtype">void</span> <a class="code" href="struct_l_o_b_1_1_limit_tree.html#a8dd611700d87618f14fdada0113272a5">market</a>(<a class="code" href="struct_l_o_b_1_1_order.html">Order</a>* order, Callback did_fill) {</div>
<div class="line"><a name="l00267"></a><span class="lineno">  267</span>&#160;        <span class="comment">// find orders until there are none</span></div>
<div class="line"><a name="l00268"></a><span class="lineno">  268</span>&#160;        <span class="keywordflow">while</span> (<a class="code" href="struct_l_o_b_1_1_limit_tree.html#a2295552bf2ed740a479ce87eb25594e0">best</a> != <span class="keyword">nullptr</span> &amp;&amp; can_match&lt;side&gt;(<a class="code" href="struct_l_o_b_1_1_limit_tree.html#a2295552bf2ed740a479ce87eb25594e0">best</a>-&gt;key, order-&gt;<a class="code" href="struct_l_o_b_1_1_order.html#a8e5f781012f13a6116c60bb9e8d3fa5f">price</a>)) {</div>
<div class="line"><a name="l00269"></a><span class="lineno">  269</span>&#160;            <span class="comment">// get the next match as the front of the best price</span></div>
<div class="line"><a name="l00270"></a><span class="lineno">  270</span>&#160;            <span class="keyword">auto</span> match = <a class="code" href="struct_l_o_b_1_1_limit_tree.html#a2295552bf2ed740a479ce87eb25594e0">best</a>-&gt;<a class="code" href="struct_l_o_b_1_1_limit.html#a596cd48cc1faf4f2f2e79f4ae354bdb4">order_head</a>;</div>
<div class="line"><a name="l00271"></a><span class="lineno">  271</span>&#160;            <span class="keywordflow">if</span> (match-&gt;quantity &gt;= order-&gt;<a class="code" href="struct_l_o_b_1_1_order.html#a306f045463a61d710f29d59824b4fa9d">quantity</a>) {  <span class="comment">// current match can fill</span></div>
<div class="line"><a name="l00272"></a><span class="lineno">  272</span>&#160;                <span class="keywordflow">if</span> (match-&gt;quantity == order-&gt;<a class="code" href="struct_l_o_b_1_1_order.html#a306f045463a61d710f29d59824b4fa9d">quantity</a>) {  <span class="comment">// limit order filled</span></div>
<div class="line"><a name="l00273"></a><span class="lineno">  273</span>&#160;                    <span class="comment">// remove the current match from the book</span></div>
<div class="line"><a name="l00274"></a><span class="lineno">  274</span>&#160;                    <a class="code" href="struct_l_o_b_1_1_limit_tree.html#a1098e1bb85b42a2e7ea550a8a3a7d56b">cancel</a>(match);</div>
<div class="line"><a name="l00275"></a><span class="lineno">  275</span>&#160;                    did_fill(match-&gt;uid);</div>
<div class="line"><a name="l00276"></a><span class="lineno">  276</span>&#160;                } <span class="keywordflow">else</span> {  <span class="comment">// limit order partially filled</span></div>
<div class="line"><a name="l00277"></a><span class="lineno">  277</span>&#160;                    <span class="comment">// remove the market order quantity from the limit quantity</span></div>
<div class="line"><a name="l00278"></a><span class="lineno">  278</span>&#160;                    match-&gt;quantity -= order-&gt;<a class="code" href="struct_l_o_b_1_1_order.html#a306f045463a61d710f29d59824b4fa9d">quantity</a>;</div>
<div class="line"><a name="l00279"></a><span class="lineno">  279</span>&#160;                    <span class="comment">// update the match&#39;s limit volume</span></div>
<div class="line"><a name="l00280"></a><span class="lineno">  280</span>&#160;                    match-&gt;limit-&gt;volume -= order-&gt;<a class="code" href="struct_l_o_b_1_1_order.html#a306f045463a61d710f29d59824b4fa9d">quantity</a>;</div>
<div class="line"><a name="l00281"></a><span class="lineno">  281</span>&#160;                    <span class="comment">// update the volume for the entire tree</span></div>
<div class="line"><a name="l00282"></a><span class="lineno">  282</span>&#160;                    <a class="code" href="struct_l_o_b_1_1_limit_tree.html#a64a5025b0f65c36c1a6f2d4056543ea7">volume</a> -= order-&gt;<a class="code" href="struct_l_o_b_1_1_order.html#a306f045463a61d710f29d59824b4fa9d">quantity</a>;</div>
<div class="line"><a name="l00283"></a><span class="lineno">  283</span>&#160;                }</div>
<div class="line"><a name="l00284"></a><span class="lineno">  284</span>&#160;                <span class="comment">// clear the remaining quantity for the order</span></div>
<div class="line"><a name="l00285"></a><span class="lineno">  285</span>&#160;                order-&gt;<a class="code" href="struct_l_o_b_1_1_order.html#a306f045463a61d710f29d59824b4fa9d">quantity</a> = 0;</div>
<div class="line"><a name="l00286"></a><span class="lineno">  286</span>&#160;                <span class="keywordflow">return</span>;</div>
<div class="line"><a name="l00287"></a><span class="lineno">  287</span>&#160;            }  <span class="comment">// else: current match can NOT fill</span></div>
<div class="line"><a name="l00288"></a><span class="lineno">  288</span>&#160;            <span class="comment">// decrement the remaining quantity of the market order</span></div>
<div class="line"><a name="l00289"></a><span class="lineno">  289</span>&#160;            order-&gt;<a class="code" href="struct_l_o_b_1_1_order.html#a306f045463a61d710f29d59824b4fa9d">quantity</a> -= match-&gt;quantity;</div>
<div class="line"><a name="l00290"></a><span class="lineno">  290</span>&#160;            <span class="comment">// remove the current match from the book</span></div>
<div class="line"><a name="l00291"></a><span class="lineno">  291</span>&#160;            <a class="code" href="struct_l_o_b_1_1_limit_tree.html#a1098e1bb85b42a2e7ea550a8a3a7d56b">cancel</a>(match);</div>
<div class="line"><a name="l00292"></a><span class="lineno">  292</span>&#160;            did_fill(match-&gt;uid);</div>
<div class="line"><a name="l00293"></a><span class="lineno">  293</span>&#160;        }</div>
<div class="line"><a name="l00294"></a><span class="lineno">  294</span>&#160; </div>
<div class="line"><a name="l00295"></a><span class="lineno">  295</span>&#160;    }</div>
<div class="line"><a name="l00296"></a><span class="lineno">  296</span>&#160; </div>
<div class="line"><a name="l00302"></a><span class="lineno"><a class="line" href="struct_l_o_b_1_1_limit_tree.html#a8d6aec814919b377fffeecd6c3919b83">  302</a></span>&#160;    <span class="keyword">inline</span> <a class="code" href="namespace_l_o_b.html#a0860e916768a8e3baaadf73c1a6f9c58">Volume</a> <a class="code" href="struct_l_o_b_1_1_limit_tree.html#a8d6aec814919b377fffeecd6c3919b83">volume_at</a>(<a class="code" href="namespace_l_o_b.html#a0170482547b909e8a53b5ae42d18e23a">Price</a> price)<span class="keyword"> const </span>{</div>
<div class="line"><a name="l00303"></a><span class="lineno">  303</span>&#160;        <span class="keywordflow">if</span> (<a class="code" href="struct_l_o_b_1_1_limit_tree.html#a1dbe709a7aba8fab467db625c0d2d3e7">limits</a>.count(price)) <span class="keywordflow">return</span> <a class="code" href="struct_l_o_b_1_1_limit_tree.html#a1dbe709a7aba8fab467db625c0d2d3e7">limits</a>.at(price)-&gt;volume;</div>
<div class="line"><a name="l00304"></a><span class="lineno">  304</span>&#160;        <span class="keywordflow">return</span> 0;</div>
<div class="line"><a name="l00305"></a><span class="lineno">  305</span>&#160;    }</div>
<div class="line"><a name="l00306"></a><span class="lineno">  306</span>&#160; </div>
<div class="line"><a name="l00312"></a><span class="lineno"><a class="line" href="struct_l_o_b_1_1_limit_tree.html#ae52da1196e73a756b93634df3940dcaa">  312</a></span>&#160;    <span class="keyword">inline</span> <a class="code" href="namespace_l_o_b.html#a98c8cdadc7da7cd760e1a6dede850854">Count</a> <a class="code" href="struct_l_o_b_1_1_limit_tree.html#ae52da1196e73a756b93634df3940dcaa">count_at</a>(<a class="code" href="namespace_l_o_b.html#a0170482547b909e8a53b5ae42d18e23a">Price</a> price)<span class="keyword"> const </span>{</div>
<div class="line"><a name="l00313"></a><span class="lineno">  313</span>&#160;        <span class="keywordflow">if</span> (<a class="code" href="struct_l_o_b_1_1_limit_tree.html#a1dbe709a7aba8fab467db625c0d2d3e7">limits</a>.count(price)) <span class="keywordflow">return</span> <a class="code" href="struct_l_o_b_1_1_limit_tree.html#a1dbe709a7aba8fab467db625c0d2d3e7">limits</a>.at(price)-&gt;count;</div>
<div class="line"><a name="l00314"></a><span class="lineno">  314</span>&#160;        <span class="keywordflow">return</span> 0;</div>
<div class="line"><a name="l00315"></a><span class="lineno">  315</span>&#160;    }</div>
<div class="line"><a name="l00316"></a><span class="lineno">  316</span>&#160;};</div>
<div class="line"><a name="l00317"></a><span class="lineno">  317</span>&#160; </div>
<div class="line"><a name="l00318"></a><span class="lineno">  318</span>&#160;}  <span class="comment">// namespace LOB</span></div>
<div class="line"><a name="l00319"></a><span class="lineno">  319</span>&#160; </div>
<div class="line"><a name="l00320"></a><span class="lineno">  320</span>&#160;<span class="preprocessor">#endif  // LOB_LIMIT_TREE_HPP_</span></div>
</div><!-- fragment --></div><!-- contents -->
<div class="ttc" id="astruct_l_o_b_1_1_limit_tree_html_a87882ea3591e325656ed24a9ebb638e2"><div class="ttname"><a href="struct_l_o_b_1_1_limit_tree.html#a87882ea3591e325656ed24a9ebb638e2">LOB::LimitTree::root</a></div><div class="ttdeci">Limit * root</div><div class="ttdoc">the sorted tree of orders in the book</div><div class="ttdef"><b>Definition:</b> limit_tree.hpp:159</div></div>
<div class="ttc" id="anamespace_l_o_b_html"><div class="ttname"><a href="namespace_l_o_b.html">LOB</a></div><div class="ttdoc">Logic for maintaining a continuous double auction via a limit-order book.</div><div class="ttdef"><b>Definition:</b> limit_order_book.hpp:33</div></div>
<div class="ttc" id="astruct_l_o_b_1_1_limit_tree_html_ae52da1196e73a756b93634df3940dcaa"><div class="ttname"><a href="struct_l_o_b_1_1_limit_tree.html#ae52da1196e73a756b93634df3940dcaa">LOB::LimitTree::count_at</a></div><div class="ttdeci">Count count_at(Price price) const</div><div class="ttdoc">Return the number of orders at the given limit price.</div><div class="ttdef"><b>Definition:</b> limit_tree.hpp:312</div></div>
<div class="ttc" id="anamespace_l_o_b_html_a0860e916768a8e3baaadf73c1a6f9c58"><div class="ttname"><a href="namespace_l_o_b.html#a0860e916768a8e3baaadf73c1a6f9c58">LOB::Volume</a></div><div class="ttdeci">uint64_t Volume</div><div class="ttdoc">a type for limit total volume</div><div class="ttdef"><b>Definition:</b> structures.hpp:90</div></div>
<div class="ttc" id="astruct_l_o_b_1_1_order_html_a306f045463a61d710f29d59824b4fa9d"><div class="ttname"><a href="struct_l_o_b_1_1_order.html#a306f045463a61d710f29d59824b4fa9d">LOB::Order::quantity</a></div><div class="ttdeci">Quantity quantity</div><div class="ttdoc">the number of shares in the order</div><div class="ttdef"><b>Definition:</b> structures.hpp:63</div></div>
<div class="ttc" id="astruct_l_o_b_1_1_order_html"><div class="ttname"><a href="struct_l_o_b_1_1_order.html">LOB::Order</a></div><div class="ttdoc">A single order in the LimitOrderBook.</div><div class="ttdef"><b>Definition:</b> structures.hpp:57</div></div>
<div class="ttc" id="anamespace_l_o_b_html_aa79f2b39db1864ddad9806d8112dcdcf"><div class="ttname"><a href="namespace_l_o_b.html#aa79f2b39db1864ddad9806d8112dcdcf">LOB::find_best</a></div><div class="ttdeci">void find_best(Limit **best)</div><div class="ttdoc">Find the next best when removing the best from the tree.</div></div>
<div class="ttc" id="astruct_l_o_b_1_1_limit_html"><div class="ttname"><a href="struct_l_o_b_1_1_limit.html">LOB::Limit</a></div><div class="ttdoc">A price limit containing a FIFO queue of Order objects.</div><div class="ttdef"><b>Definition:</b> structures.hpp:93</div></div>
<div class="ttc" id="astruct_l_o_b_1_1_order_html_a8e5f781012f13a6116c60bb9e8d3fa5f"><div class="ttname"><a href="struct_l_o_b_1_1_order.html#a8e5f781012f13a6116c60bb9e8d3fa5f">LOB::Order::price</a></div><div class="ttdeci">const Price price</div><div class="ttdoc">the limit price for the order (market price if market order)</div><div class="ttdef"><b>Definition:</b> structures.hpp:65</div></div>
<div class="ttc" id="astruct_l_o_b_1_1_limit_tree_html_ac4a8791f4b50ed29152d42940c3be06d"><div class="ttname"><a href="struct_l_o_b_1_1_limit_tree.html#ac4a8791f4b50ed29152d42940c3be06d">LOB::LimitTree::limit</a></div><div class="ttdeci">void limit(Order *order)</div><div class="ttdoc">Place a limit order on the limit tree.</div><div class="ttdef"><b>Definition:</b> limit_tree.hpp:189</div></div>
<div class="ttc" id="astruct_l_o_b_1_1_limit_tree_html_a1098e1bb85b42a2e7ea550a8a3a7d56b"><div class="ttname"><a href="struct_l_o_b_1_1_limit_tree.html#a1098e1bb85b42a2e7ea550a8a3a7d56b">LOB::LimitTree::cancel</a></div><div class="ttdeci">void cancel(Order *order)</div><div class="ttdoc">Remove an order from the limit tree.</div><div class="ttdef"><b>Definition:</b> limit_tree.hpp:227</div></div>
<div class="ttc" id="anamespace_l_o_b_html_a98c8cdadc7da7cd760e1a6dede850854"><div class="ttname"><a href="namespace_l_o_b.html#a98c8cdadc7da7cd760e1a6dede850854">LOB::Count</a></div><div class="ttdeci">uint32_t Count</div><div class="ttdoc">a type for limit price order counts</div><div class="ttdef"><b>Definition:</b> structures.hpp:88</div></div>
<div class="ttc" id="astruct_l_o_b_1_1_limit_tree_html_a941d1cf3065746647e08bb972f65121b"><div class="ttname"><a href="struct_l_o_b_1_1_limit_tree.html#a941d1cf3065746647e08bb972f65121b">LOB::LimitTree::last_best_price</a></div><div class="ttdeci">Price last_best_price</div><div class="ttdoc">the last best price</div><div class="ttdef"><b>Definition:</b> limit_tree.hpp:165</div></div>
<div class="ttc" id="astruct_l_o_b_1_1_limit_tree_html_a1dbe709a7aba8fab467db625c0d2d3e7"><div class="ttname"><a href="struct_l_o_b_1_1_limit_tree.html#a1dbe709a7aba8fab467db625c0d2d3e7">LOB::LimitTree::limits</a></div><div class="ttdeci">PriceLimitMap limits</div><div class="ttdoc">a mapping of limit prices to limits</div><div class="ttdef"><b>Definition:</b> limit_tree.hpp:161</div></div>
<div class="ttc" id="astruct_l_o_b_1_1_limit_tree_html_af889225100ab93c596081ceec4ffb474"><div class="ttname"><a href="struct_l_o_b_1_1_limit_tree.html#af889225100ab93c596081ceec4ffb474">LOB::LimitTree::clear</a></div><div class="ttdeci">void clear()</div><div class="ttdoc">Clear all the limits in the tree.</div><div class="ttdef"><b>Definition:</b> limit_tree.hpp:172</div></div>
<div class="ttc" id="astruct_l_o_b_1_1_limit_html_a596cd48cc1faf4f2f2e79f4ae354bdb4"><div class="ttname"><a href="struct_l_o_b_1_1_limit.html#a596cd48cc1faf4f2f2e79f4ae354bdb4">LOB::Limit::order_head</a></div><div class="ttdeci">Order * order_head</div><div class="ttdoc">the first order in the queue (next to execute)</div><div class="ttdef"><b>Definition:</b> structures.hpp:101</div></div>
<div class="ttc" id="anamespace_l_o_b_html_a5f3af030ab539f0b9e5c5454fda8f8cc"><div class="ttname"><a href="namespace_l_o_b.html#a5f3af030ab539f0b9e5c5454fda8f8cc">LOB::can_match</a></div><div class="ttdeci">bool can_match(Price limit, Price market)</div><div class="ttdoc">Return true if the market price can match with the limit price.</div></div>
<div class="ttc" id="astruct_l_o_b_1_1_limit_tree_html_a8dd611700d87618f14fdada0113272a5"><div class="ttname"><a href="struct_l_o_b_1_1_limit_tree.html#a8dd611700d87618f14fdada0113272a5">LOB::LimitTree::market</a></div><div class="ttdeci">void market(Order *order, Callback did_fill)</div><div class="ttdoc">Perform a market order of given quantity on the given limit tree.</div><div class="ttdef"><b>Definition:</b> limit_tree.hpp:266</div></div>
<div class="ttc" id="astruct_l_o_b_1_1_limit_html_a5143704d888d4a1029b217eca6f94d18"><div class="ttname"><a href="struct_l_o_b_1_1_limit.html#a5143704d888d4a1029b217eca6f94d18">LOB::Limit::count</a></div><div class="ttdeci">Count count</div><div class="ttdoc">the number of orders at this limit price</div><div class="ttdef"><b>Definition:</b> structures.hpp:95</div></div>
<div class="ttc" id="astruct_l_o_b_1_1_limit_tree_html"><div class="ttname"><a href="struct_l_o_b_1_1_limit_tree.html">LOB::LimitTree</a></div><div class="ttdoc">A single side (buy/sell) of the LimitOrderBook.</div><div class="ttdef"><b>Definition:</b> limit_tree.hpp:157</div></div>
<div class="ttc" id="anamespace_l_o_b_html_a9c1b41f8d06147416dcb43138b2905ae"><div class="ttname"><a href="namespace_l_o_b.html#a9c1b41f8d06147416dcb43138b2905ae">LOB::set_best</a></div><div class="ttdeci">void set_best(Limit **best, Limit *limit)</div><div class="ttdoc">Set the best to the given limit if the given limit is better.</div></div>
<div class="ttc" id="astruct_l_o_b_1_1_limit_tree_html_ac6f9f6989f2d73a1917c1488252cfaf5"><div class="ttname"><a href="struct_l_o_b_1_1_limit_tree.html#ac6f9f6989f2d73a1917c1488252cfaf5">LOB::LimitTree::count</a></div><div class="ttdeci">Count count</div><div class="ttdoc">the total number of active orders for this tree</div><div class="ttdef"><b>Definition:</b> limit_tree.hpp:167</div></div>
<div class="ttc" id="astruct_l_o_b_1_1_order_html_ac4eb93ab36045cd0927ee4d4ea51c1a5"><div class="ttname"><a href="struct_l_o_b_1_1_order.html#ac4eb93ab36045cd0927ee4d4ea51c1a5">LOB::Order::limit</a></div><div class="ttdeci">Limit * limit</div><div class="ttdoc">the limit this order falls under</div><div class="ttdef"><b>Definition:</b> structures.hpp:67</div></div>
<div class="ttc" id="astruct_l_o_b_1_1_limit_tree_html_a8d6aec814919b377fffeecd6c3919b83"><div class="ttname"><a href="struct_l_o_b_1_1_limit_tree.html#a8d6aec814919b377fffeecd6c3919b83">LOB::LimitTree::volume_at</a></div><div class="ttdeci">Volume volume_at(Price price) const</div><div class="ttdoc">Return the volume of orders at the given limit price.</div><div class="ttdef"><b>Definition:</b> limit_tree.hpp:302</div></div>
<div class="ttc" id="astruct_l_o_b_1_1_limit_tree_html_a2295552bf2ed740a479ce87eb25594e0"><div class="ttname"><a href="struct_l_o_b_1_1_limit_tree.html#a2295552bf2ed740a479ce87eb25594e0">LOB::LimitTree::best</a></div><div class="ttdeci">Limit * best</div><div class="ttdoc">the best order</div><div class="ttdef"><b>Definition:</b> limit_tree.hpp:163</div></div>
<div class="ttc" id="anamespace_l_o_b_html_a0170482547b909e8a53b5ae42d18e23a"><div class="ttname"><a href="namespace_l_o_b.html#a0170482547b909e8a53b5ae42d18e23a">LOB::Price</a></div><div class="ttdeci">uint64_t Price</div><div class="ttdoc">a type for order prices</div><div class="ttdef"><b>Definition:</b> structures.hpp:51</div></div>
<div class="ttc" id="anamespace_l_o_b_html_a9f7f6214768b2e1c81ab886241d2075a"><div class="ttname"><a href="namespace_l_o_b.html#a9f7f6214768b2e1c81ab886241d2075a">LOB::PriceLimitMap</a></div><div class="ttdeci">tsl::robin_map&lt; Price, Limit * &gt; PriceLimitMap</div><div class="ttdoc">a map of prices to limit pointers</div><div class="ttdef"><b>Definition:</b> limit_tree.hpp:34</div></div>
<div class="ttc" id="astruct_l_o_b_1_1_limit_tree_html_a64a5025b0f65c36c1a6f2d4056543ea7"><div class="ttname"><a href="struct_l_o_b_1_1_limit_tree.html#a64a5025b0f65c36c1a6f2d4056543ea7">LOB::LimitTree::volume</a></div><div class="ttdeci">Volume volume</div><div class="ttdoc">the total volume of orders for this tree</div><div class="ttdef"><b>Definition:</b> limit_tree.hpp:169</div></div>
<div class="ttc" id="astruct_l_o_b_1_1_limit_html_ab2708f69d5bdb44d7d4b2296b02055e1"><div class="ttname"><a href="struct_l_o_b_1_1_limit.html#ab2708f69d5bdb44d7d4b2296b02055e1">LOB::Limit::order_tail</a></div><div class="ttdeci">Order * order_tail</div><div class="ttdoc">the last order in the queue (last to execute)</div><div class="ttdef"><b>Definition:</b> structures.hpp:103</div></div>
<div class="ttc" id="astruct_l_o_b_1_1_limit_html_a73fcec9f433efd6a506f1c08bf52a233"><div class="ttname"><a href="struct_l_o_b_1_1_limit.html#a73fcec9f433efd6a506f1c08bf52a233">LOB::Limit::volume</a></div><div class="ttdeci">Volume volume</div><div class="ttdoc">the total amount of volume at this limit price (sum of order shares)</div><div class="ttdef"><b>Definition:</b> structures.hpp:99</div></div>
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